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From Hurricane Irma to the Grindavík eruptions: volatility premiums in disaster governance. [PDF]
DisastersBjörnsson T.
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Medical education and health professional training during the Syrian conflict: a cross-sectional study. [PDF]
BMC Med EducAntoun I +8 more
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Multi-dimensional perceptual recognition of tourist destination using deep learning model and geographic information system. [PDF]
PLoS OneZhang S +5 more
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Simulation of ruin probabilities
Insurance: Mathematics and Economics, 1990The classical model of risk theory with homogeneous Poisson claim number process is considered. Then a direct simulation of the probability of ruin can be difficult and unstable for certain parameters and claim size distributions. Therefore the authors propose to use a martingale transform of the given process first, then perform the simulation for the
De Waegenaere , A.M.B., Boogaert, P.
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A Note on the Convexity of Ruin Probabilities
SSRN Electronic Journal, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Landriault, David +4 more
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2010
The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramér-Lundberg approximation, exact solutions, other approximations (e.g., for heavy-tailed claim size distributions), finite horizon ruin probabilities, extensions of the classical compound Poisson model to ...
Asmussen, Søren, Albrecher, Hansjörg
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The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramér-Lundberg approximation, exact solutions, other approximations (e.g., for heavy-tailed claim size distributions), finite horizon ruin probabilities, extensions of the classical compound Poisson model to ...
Asmussen, Søren, Albrecher, Hansjörg
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Maintaining cost and ruin probability
Review of Quantitative Finance and Accounting, 2021Specialized funds such as charitable trusts do not attach much value to consumption, instead, they pursue to maintain a satisfactory level of spending and avoid ruin to achieve their managerial goals. We employ an objective function tailored for studying ruin probability of a specialized fund, which implies simple analytical conditions to judge if the ...
Andreas Karathanasopoulos +3 more
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Scandinavian Actuarial Journal, 1982
Abstract In this article a summing up is made of the author's papers concerning the probability of ruin in a risk business. Results as well as proofs are reviewed. In certain cases not covered in the earlier papers a more systematic treatment is given. Primarily the probability of ruin for a finite time period is dealt with.
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Abstract In this article a summing up is made of the author's papers concerning the probability of ruin in a risk business. Results as well as proofs are reviewed. In certain cases not covered in the earlier papers a more systematic treatment is given. Primarily the probability of ruin for a finite time period is dealt with.
openaire +1 more source